Characterizing correlation matrices that admit a clustered factor representation

DOI10.1016/J.ECONLET.2023.111433arXiv2308.05895OpenAlexW4388342095MaRDI QIDQ6198259

Chen Tong, Peter Reinhard Hansen

Publication date: 20 March 2024

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2308.05895

zbMATH Keywords

copulaclusteringfactor modelsblock correlation matrix

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The Model Confidence Set
• Factor copula models for multivariate data
• High dimensional dynamic stochastic copula models
• Statistical analysis of cointegration vectors
• Testing for structural breaks in factor copula models
• Structured factor copula models: theory, inference and computation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• A New Parametrization of Correlation Matrices
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Dynamic factor copula models with estimated cluster assignments

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